2005-11-07
Goodness-of-fit tests for a heavy tailed distribution
Publication
Publication
Report / Econometric Institute, Erasmus University Rotterdam
For testing whether a distribution function is heavy tailed, we study the Kolmogorov test, Berk-Jones test, score test and their integrated versions. A comparison is conducted via Bahadur efficiency and simulations. The score test and the integrated score test show the best performance. Although the Berk-Jones test is more powerful than the Kolmogorov-Smirnov test, this does not hold true for their integrated versions; this differs from results in \\citet{EinmahlMckeague2003}, which shows the difference of Berk-Jones test in testing distributions and tails.
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hdl.handle.net/1765/7031 | |
Econometric Institute Research Papers | |
Report / Econometric Institute, Erasmus University Rotterdam | |
Organisation | Erasmus School of Economics |
Koning, A., & Peng, L. (2005). Goodness-of-fit tests for a heavy tailed distribution (No. EI 2005-44). Report / Econometric Institute, Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/7031 |